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Wrapper for generalized additive models (from mgcv)

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tsgam

Wrapper for the Generalized Additive Model in package mgcv to conform with tsmodels output and framework. It is a more abstract/general layer than other models in tsmodels due to the nature of GAMs.

Installation

The package can be installed from the tsmodels github repo.

remotes::install_github("tsmodels/tsgam", dependencies = TRUE)

A short vignette is available here.

Updates

  • ver 0.3.0: added a multi-GAM model (mgam) with optional pooling argument and custom predict function to include copula based dependency in the predictive distribution. The input for this type of model is a data.table with series and index identifiers.

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